Optimum hurricane futures hedge in a warming environment: a risk return jump-diffusion approach

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      <subfield code="a">Chang, Carolyn W.</subfield>
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      <subfield code="a">Optimum hurricane futures hedge in a warming environment: a risk return jump-diffusion approach</subfield>
      <subfield code="c">Carolyn W. Chang, Jack S. K. Chang, Min-Ming Wen</subfield>
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      <subfield code="a">We develop an optimum riskreturn hurricane hedge model in a doubly stochastic jump-diffusion economy. The model's concave riskreturn trade-off dictates that a higher correlation between hurricane power and insurer's loss, a smaller variable hedging cost, and a larger market risk premium result in a less costly but more effective hedge. The resulting hedge ratio comprises of a positive diffusion, a positive jump, and a negative hedging cost component. Numerical results show that hedging hurricane jump risks is most crucial with jump volatility being the dominant factor, and the faster the warming the more pronounced the jump effects.</subfield>
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      <subfield code="w">MAP20077000727</subfield>
      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="g">03/03/2014 Volumen 81 Número 1 - marzo 2014 </subfield>
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